Testing linearity against smooth transition autoregressive models
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augmented Tsay test procedureCUSUM testLagrange multiplier type testlinear time series modellogistic STAR modelnonlinearitypowerself-exciting threshold autoregressive (SETAR) modelsmall sample behavioursmooth transition autoregressive (STAR) modeltests of linearitythird order test procedureunivariate time series
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Cited in
(only showing first 100 items - show all)- Detecting business cycle asymmetries using artificial neural networks and time series models
- Tree-structured smooth transition regression models
- Estimation and inference for exponential smooth transition nonlinear volatility models
- Testing the adequacy of smooth transition autoregressive models
- Testing time series linearity via goodness-of-fit methods
- Identification environment and robust forecasting for nonlinear time series
- Testing the constancy of regression parameters against continuous structural change
- Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model
- On the robustness of nonlinearity tests to moment condition failure
- An introduction to stochastic unit-root processes
- Testing multiple equation systems for common nonlinear components
- A mixed-type test for linearity in time series
- The univariate MT-STAR model and a new linearity and unit root test procedure
- An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
- Asymptotic theory for regressions with smoothly changing parameters
- Testing for nonlinearity in conditional covariances
- A generalized ARFIMA model with smooth transition fractional integration parameter
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- Computing stock price comovements with a three-regime panel smooth transition error correction model
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
- A nonlinear long memory model, with an application to US unemployment.
- A consistent test for nonlinear out of sample predictive accuracy.
- Evaluating GARCH models.
- Testing for a unit root in the nonlinear STAR framework
- Testing for neglected nonlinearity in regression models based on the theory of random fields
- Detecting nonlinearities in neuro-electrical signals: A study of synchronous local field potentials
- On tests for linearity against STAR models with deterministic trends
- Discriminating between competing STAR models
- Nonlinear monetary policy in Europe: fact or myth?
- Time series test of nonlinear convergence and transitional dynamics
- Testing time reversibility without moment restrictions
- Fiscal policy in good and bad times
- Linearity tests and stochastic trend under the STAR framework
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- The behavior of divorce rates: a smooth transition regression approach
- Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables
- An alternative procedure to test for cointegration in STAR models
- Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
- Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
- Smooth buffered autoregressive time series models
- Smooth transitions across latitudes and longitudes: an application of a nonlinear panel regression to the climate -- economics nexus
- On testing for nonlinearity in multivariate time series
- Forecasting performance of exponential smooth transition autoregressive exchange rate models
- A simple test for linearity against exponential smooth transition models with endogenous variables
- Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences
- Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions
- Fractionally integrated time varying GARCH model
- Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations
- Testing for co-nonlinearity
- Information criteria for nonlinear time series models
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
- Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
- Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
- Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
- Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
- A nonlinear model of asset returns with multiple shocks
- Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration
- Tests for linearity in star models: SupWald and LM-type tests
- Linearity tests under the null hypothesis of a random walk with drift
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Weak identification in the ESTAR model and a new model
- Theory study and empirical analysis on nonlinearity tests for an LSTAR model with two thresholds
- Higher-order approximations for testing neglected nonlinearity
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- A time series model for an exchange rate in a target zone with applications
- Testing for parameter stability in nonlinear autoregressive models
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
- Revisiting tests for neglected nonlinearity using artificial neural networks
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters
- scientific article; zbMATH DE number 1805837 (Why is no real title available?)
- Heterogeneity in stock prices: a STAR model with multivariate transition function
- Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
- Nonlinearity tests in time series analysis
- Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
- Testing linearity against nonlinear moving average models
- scientific article; zbMATH DE number 718746 (Why is no real title available?)
- Test for linearity against STAR models with deterministic trends
- Nonlinear transfer functions
- Diagnostic Checking in a Flexible Nonlinear Time Series Model
- Testing constancy of the error covariance matrix in vector models
- A new unit root test against ESTAR based on a class of modified statistics
- Tests for TAR models vs. star models -- a separate family of hypotheses approach
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Estimation and testing linearity for non-linear mixed Poisson autoregressions
- Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
- A test of linearity against functional coefficient autoregressive models
- Robust inference in nonlinear models with mixed identification strength
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- Modeling conditional correlations of asset returns: a smooth transition approach
- Consistent GMM residuals-based tests of functional form
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